Multi-Attribute Optimization Under Preference Uncertainty

We introduce multi-attribute optimization under preference uncertainty, a novel approach for optimization-based decision support when the decision-maker's preferences are uncertain. Here, each feasible design is associated with a vector of attributes, which is in turn assigned a utility by the decision-maker's utility function. This utility function has been incompletely estimated, and its remaining uncertainty is quantified by a Bayesian probability distribution. We develop an optimization-based formulation to generate a menu of diverse solutions, among which the decision-maker is expected to find a high-utility solution. The resulting optimization problem is challenging to solve in general, but we show that it can be approximately solved efficiently when the attributes and utility function are linear by reformulating it as a mixed-integer linear program, and using sample average approximation and submodular maximization. We also propose a posterior sampling approach that only requires optimizing individual samples of the user's utility function, supporting fast computation.

Authors

Institutions

Publication Details

Published
2024-12-15
DOI
https://doi.org/10.1109/wsc63780.2024.10838798
Primary Topic
Multi-Criteria Decision Making
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Multi-Attribute Optimization Under Preference Uncertainty

Peter I. Frazier, Raul Astudillo, B. Shah
Multi-Criteria Decision Making
article

Multi-Attribute Optimization Under Preference Uncertainty

Peter I. Frazier, Raul Astudillo, B. Shah
article en

Abstract

We introduce multi-attribute optimization under preference uncertainty, a novel approach for optimization-based decision support when the decision-maker's preferences are uncertain. Here, each feasible design is associated with a vector of attributes, which is in turn assigned a utility by the decision-maker's utility function. This utility function has been incompletely estimated, and its remaining uncertainty is quantified by a Bayesian probability distribution. We develop an optimization-based formulation to generate a menu of diverse solutions, among which the decision-maker is expected to find a high-utility solution. The resulting optimization problem is challenging to solve in general, but we show that it can be approximately solved efficiently when the attributes and utility function are linear by reformulating it as a mixed-integer linear program, and using sample average approximation and submodular maximization. We also propose a posterior sampling approach that only requires optimizing individual samples of the user's utility function, supporting fast computation.

California Institute of Technology (US), Google (United States) (US), Cornell University (US)
Openalex Percentile: Top 68%
Multi-Criteria Decision Making
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.